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subject:"ARCH-Modell"
~person:"Liu, Hung-Chun"
~person:"Qiao, Gaoxiu"
~person:"Santillán Salgado, Roberto Joaquín"
~person:"Shaikh, Imlak"
~subject:"GARCH modelling"
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Search: subject_exact:"Index-Futures"
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ARCH-Modell
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13
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Liu, Hung-Chun
Qiao, Gaoxiu
Santillán Salgado, Roberto Joaquín
Shaikh, Imlak
Hou, Yang
7
Li, Steven
6
Mittnik, Stefan
5
Bologna, Pierluigi
4
Choudhry, Taufiq
3
Claessen, Holger
3
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3
Lau, Chi Keung
3
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3
Rossi, Eduardo
3
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3
Wang, Janchung
3
Yarovaya, Larisa
3
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2
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2
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2
Brzeszczyński, Janusz
2
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2
Cavallo, Laura
2
Corsi, Fulvio
2
Gannon, Gerard L.
2
Hasan, Mohammad S.
2
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2
Jian, Zhihong
2
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Lee, Hsiang-Tai
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Loc Dong Truong
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Ma, Feng
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Maniar, Hiren M.
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Maniyar, Dharmesh M.
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2
Nguyen Thi Kim Anh
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1
Optimal hedge ratios for the Mexican stock market index futures contract : a multivariate GARCH approach
Santillán Salgado, Roberto Joaquín
;
Escobar, Luis Jacob
; …
- In:
Economía teoría y práctica
28
(
2020
)
53
,
pp. 201-238
Persistent link: https://www.econbiz.de/10012617905
Saved in:
2
The cross-market dynamic effects of liquidity on volatility : evidence from Chinese stock index and futures markets
Qiao, Gaoxiu
;
Teng, Yuxin
;
Xu, Yanyan
;
Wang, Lu
- In:
Applied economics
52
(
2020
)
1
,
pp. 85-99
Persistent link: https://www.econbiz.de/10012197378
Saved in:
3
Improving volatility forecasting based on Chinese volatility index information : evidence from CSI 300 index and futures markets
Qiao, Gaoxiu
;
Teng, Yuxin
;
Li, Weiping
;
Liu, Wenwen
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 133-151
Persistent link: https://www.econbiz.de/10012269160
Saved in:
4
Pricing a bivariate option with copulas
Bucio-Pacheco, Christian
;
López Herrera, Francisco
; …
- In:
International journal of bonds and derivatives
4
(
2018
)
1
,
pp. 74-87
Persistent link: https://www.econbiz.de/10012253407
Saved in:
5
On forecasting Taiwanese stock index option prices : the role of implied volatility index
Wang, Jying-Nan
;
Liu, Hung-Chun
;
Chen, Lu-Jui
- In:
International journal of economics and finance
9
(
2017
)
9
,
pp. 133-136
Persistent link: https://www.econbiz.de/10011762731
Saved in:
6
On the relationship between implied volatility index and realized return volatility
Shaikh, Imlak
- In:
Research bulletin / The Institute of Cost Accountants …
41
(
2015
)
1
,
pp. 225-235
Persistent link: https://www.econbiz.de/10011420602
Saved in:
7
On the relationship of ex-ante and ex-post volatility : a sub-period analysis of S&P CNX Nifty Index options
Shaikh, Imlak
;
Padhi, Puja
- In:
Journal of emerging market finance
14
(
2015
)
2
,
pp. 140-175
Persistent link: https://www.econbiz.de/10011378502
Saved in:
8
Forecasting volatility and capturing downside risk of the Taiwanese futures markets under the financial tsunami
Liu, Hung-Chun
;
Hung, Jui-cheng
- In:
Managerial finance
36
(
2010
)
10
,
pp. 860-875
Persistent link: https://www.econbiz.de/10008662545
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